Description
Book SynopsisDiscusses a variety of topics in the fields of derivative market analysis, macroeconomic factors, initial public offering studies, foreign exchange topics, financial management concerns and capital asset pricing and market efficiency studies.
Table of ContentsVolume 1: Part 1 Derivative market analysis: put-call-futures parity pricing in Australia, John W. English; pricing of Australian all ordinaries share price index futures contracts, Richard Heaney; the impact of the lengths of estimation periods and hedging horizons on the Hang Seng index futures contract, Zhenmin Fang and Richard Y.K. Ho; volatility patterns and trading activities under electronic trading system and in after-hour trading in Australia and New Zealand futures markets, Chun I. Lee. Part 2 Macroeconomic factors: stock market returns and macroeconomic variables in Taiwan, Don Dayananda and Wen-Yao Ko; the demand for international reserves - some recent evidence from China, Guobo Huang. Part 3 Initial public offering studies: some further Australian evidence on the long-run performance of initial public offerings - 1974-1984, David E. Allen and M. Patrick; the aftermarket performance of IPOs - the Korean experience, John S. Howe et al. Part 4 Foreign exchange topics: fractal structures in currency markets - evidence from the spot Australian/US dollar, Jonathan Batten and Craig Ellis; the pricing of foreign exchange risk of Taiwan stock exchange companies, Simon C. Dzeng et al; testing uncovered interest rate parity - the Australian experience, Ramaprasad Bhar. Volume 2: Part 1 Financial management concerns: Australian dividend reinvestment plans - the announcement effects of differing discount rates, Keith K.W. Chan et al; the valuation effects of transnational acquisitions - evidence from the Pacific Basin region, Anand S. Desai et al; some evidence on the trade credit practices of Japanese trading companies, Gary W. Emery and Kenn Ariga. Part 2 Capital asset pricing and market efficiency studies: a simultaneous study of the size, earnings/price, and January effects in the stock markets of Taiwan, Korea and Thailand, David K. Ding and Charlie Charoenwong; cross-section risk and return of Tokyo stock exchange firms, Keiichi Kubota and Hitoshi Takehara; beta is not dead - just misrepresented - evidence from the Japanese stock market, Theodore Bos and Thomas A. Fetherston; stock market volatility and return patterns following large price changes - evidence from six Pacific Basin countries, Jinwoo Park; conditional heteroscedasticity in the equity returns from emerging markets, P. Fraser and D.M. Power; nonlinear dependence in daily stock index returns - evidence from Pacific Basin markets, Pradeep K. Yadav et al; time series properties of Asian emerging markets, Ricardo Leal and Michael Austin; intraday buy/sell orders, trading volumes, returns in the Taiwan stock market - an application of the vat model, Rern-Jay Hung et al.
